Széchenyi 2020
Budapesti Corvinus Egyetem ×

AFML 2020 – Program

Preliminary Program
Online
Budapest, Hungary, 26th-27th November 2020


We use Budapest time, CET (UTC +1)
8:30 – 9:00Networking, opening at 8:45
9:00 – 10:00Plenary session
Chair: Péter Csóka
Jonathan Batten: Moving forward on climate change in a Post COVID world: Financial market impacts
10:00 – 10:30Break, networking from 10:15 in the upcoming sessions
10:30 – 12:30Parallel sessions
Information and trading
Chair: Zsuzsa R. Huszár
Macro perspectives
Chair: Péter Mihályi
Asset pricing and corporate finance
Chair: Dániel Havran
Charles Schnitzlein, James M. Steeley: Order choice in a limit order book with dispersed information: Evidence from an experimental asset market with partially informed tradersAndrás Borsos, Bence Mérő: Shock Propagation in the Banking System with Real Economy Feedback

Discussant: Andre Horovitz
Atiqur Rahman Rasel, Bin Liu, Sandy Suardi: The impact of investor sentiment and attention on Bitcoin
Stefan Greppmair, Stephan Jank, Pedro A. C. Saffi, Jason Sturgess: Securities Lending and Information Acquisition

Discussant: Stéphanie Ligot
Helena Naffa, Fanni Dudás: Measuring Financial Well-Being of CountriesGábor Neszveda, Gábor Till, Barnabás Timár, Marcell Varga: Is short-term reversal driven by liquidity provision or behavioral bias in emerging markets? Evidence from China

Discussant: Paul Whelan
Stéphanie Ligot, Iryna Veryzhenko: The High Frequency Trading and Circuit Breakers in an Electronic Market

Discussant: Pedro A. C. Saffi
Milán Cs. Badics, Kristóf Reizinger: Granger-causality analysis of risk spillovers in insurance and banking networks

Discussant: András Borsos.
Nina Boyarchenko, Lars C. Larsen, Paul Whelan: The Overnight Drift

Discussant: Gábor Neszveda
Truong X. Duong, Zsuzsa R. Huszár, Ruth S. K. Tan: The Role of Market Infrastructure in Price Discovery: Short Sellers’s Perspective Zsuzsanna Novák, Nikolett Sereg: Hungarian forint FX swap spreads during and beyond crisis times

Discussant: Zoltán Schepp
Vishnu Ramesh, Aravind Sampath: Allocation of internal cash flows – Evidence from an emerging market

Discussant: Dániel Havran
12:30 – 13:30Break, networking from 13:15 in the upcoming sessions
13:30 – 15:30Parallel sessions
Interconnectedness
Chair: Peter Szilagyi
Social innovation
Chair: Edina Berlinger
Market liquidity
Chair: Niklas Wagner
Daniel Fricke, Hannes Wilke: Connected Funds

Discussant: Tamas Vadasz
Márton Gosztonyi, Dániel Havran: Highways to Hell? Paths Towards the Formal Financial Exclusion: Empirical Lessons of the Households from Northeastern HungaryAbdollah Ah Mand, Imtiaz Sifat: Volatility Dynamics in Financial Futures: The Roles of Speculation and Liquidity
Michael Goldstein, Edith Hotchkiss, Stanislava Nikolova: Dealer Behavior and the Trading of Newly Issued Corporate Bonds

Discussant: Peter Szilagyi
Edina Berlinger, Jens Valdemar Krenchel, György Walter: Personal Bankruptcy Leniency Composite Index – Mapping Leniency in the EU Barbara Będowska-Sójka, Krzysztof Echaust: The asymmetry of Amihud illiquidity measure – an international perspective
Milán Cs. Badics, Áron Hartvig: Volatility and illiquidity connectedness during the Financial crisis of 2007–08

Discussant: Daniel Fricke
Attila Havas: Various approaches to social innovation: Diversity in its definitions and modelsMariya Gubareva: Impact of the Covid-19 on liquidity of emerging market bonds

Discussant: Vassilios Papavassiliou
Milan Cs. Badics, Balazs Kotro: Interconnectedness of Sovereign Yield CurvesEdina Berlinger, Katalin Dobránszky-Bartus, György Molnár: Modern pillories: Overdue debts of the poor

Discussant: Tomy Lee
Marcin Czupryna, Paweł Oleksy: Liquidity of illiquid assets: evidence from fine wine exchange

Discussant: Niklas Wagner
15:30 – 16:00Break, networking from 15:45 in the upcoming session
16:00 – 17:00Plenary session
Chair: Gábor Molnár-Sáska
Mohammad Bitar, Dieter Gramlich, Thomas Walker, Yunfei Zhao: After the storm: Natural disasters and bank solvency
8:45 – 9:00Networking in the upcoming sessions
9:00 – 10:30Parallel sessions
Green finance
Chair: Igor Lončarski
Bond Markets
Chair: Zorka Simon
Olivér Hortay, László Kökény: Effect of COVID-19 on the ten largest ESG fundsConall O’Sullivan, Vassilios G. Papavassiliou: Time-varying predictability in the European sovereign bond market

Discussant: Mariya Gubareva
Eszter Baranyai, Adam Banai: Do climate change projections appear in mortgage characteristics?

Discussant: Zsuzsa R. Huszár
Vassilios Papavassiliou: Information shares and market quality before and during the European sovereign debt crisis

Discussant: Zorka Simon
Hans Degryse, Roman Goncharenko, Carola Theunisz, Tamas Vadasz: When Green Meets Green

Discussant: Igor Lončarski
Gyorgy Varga: On the fitting of the term structure short-end

Discussant: Conall O’Sullivan
10:30 – 11:00Break, networking from 10:45 in the upcoming session
11:00 – 12:00Plenary session
Chair: Barbara Dömötör
Nickolay Gantchev, Mariassunta Giannetti, Rachel Li: Does Money Talk? Market Discipline through Selloffs and Boycotts
12:00 – 13:00Break, networking from 12:45 in the upcoming sessions
13:00 – 14:30Parallel sessions
Banking
Chair: György Walter
Theory
Chair: Alexander Szimayer
Sérgio Leão, Rafael F. Schiozer, Gustavo Silva Araújo, Raquel de Freitas Oliveira: Bank relationship and firms’ cost of hedgingGrzegorz Kosiorowski, Rafał Sieradzki, Michał Thlon: Game-theoretic approach to IPO underpricing: issuer vs investors
Sophie Doepp, Andre Horovitz, Alexander Szimayer: Modeling non-maturing Demand Deposits: on the Determination of the Threshold of Separation between Volatile and Stable Deposit Volumes

Discussant: Rafael F. Schiozer
Miklos Pinter: How to generate objective ambiguity

Discussant: Zsolt Bihary
Barbara Dömötör, Tímea Ölvedi: Information Processing of Peer-to-Peer Lending PlatformsPéter Csóka, P. Jean-Jacques Herings: On the Multiplicity of Clearing Payment Matrices in Financial Networks

Discussant: Miklós Pintér
14:30 – 15:00Break, networking from 14:45 in the upcoming session
15:00 – 16:00Plenary session
Chair: László Zsolnai
Paul Shrivastava: Wellbeing Economy and Finance in the Anthropocene
16:00 – 16:30Networking, closing

Download the program in .pdf.

11th Annual Financial Market Liquidity Conference – Program
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